TWO‐STEP ESTIMATION OF A MULTI‐VARIATE LÉVY PROCESS

DOI10.1111/jtsa.12042zbMath1398.62053arXiv1306.1725MaRDI QIDQ5408113

Habib Esmaeili, Claudia Klüppelberg

Publication date: 8 April 2014

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1306.1725

zbMATH Keywords

maximum likelihood estimation; dependence structure; Lévy copula; Godambe information matrix; IFM; inference functions for margins; reduced likelihood; multi-variate Lévy process; two-step parameter estimation

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

62F12: Asymptotic properties of parametric estimators

62F10: Point estimation

Related Items

Estimation of model parameters of dependent processes constructed using Lévy Copulas, Jump tail dependence in Lévy copula models, Compound vectors of subordinators and their associated positive Lévy copulas, Random time-change with inverses of multivariate subordinators: governing equations and fractional dynamics, Lévy Copulas: Review of Recent Results

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Parameter estimation of a bivariate compound Poisson process
• Parametric estimation of a bivariate stable Lévy process
• Characterization of dependence of multidimensional Lévy processes using Lévy copulas
• Pareto Lévy Measures and Multivariate Regular Variation
• A note on estimation for gamma and stable processes
• Inference for gamma and stable processes
• Asymptotic Statistics